Instrumental Variable Quantile Estimation of Spatial Autoregressive Models
We propose an instrumental variable quantile regression (IVQR) estimator for spatial autoregressive (SAR) models. Like the GMM estimators of Lin and Lee (2006) and Kelejian and Prucha (2006), the IVQR estimator is robust against heteroscedasticity. Unlike the GMM estimators, the IVQR estimator is al...
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sg-smu-ink.soe_research-20372018-06-01T04:29:36Z Instrumental Variable Quantile Estimation of Spatial Autoregressive Models YANG, Zhenlin We propose an instrumental variable quantile regression (IVQR) estimator for spatial autoregressive (SAR) models. Like the GMM estimators of Lin and Lee (2006) and Kelejian and Prucha (2006), the IVQR estimator is robust against heteroscedasticity. Unlike the GMM estimators, the IVQR estimator is also robust against outliers and requires weaker moment conditions. More importantly, it allows us to characterize the heterogeneous impact of variables on different points (quantiles) of a response distribution. We derive the limiting distribution of the new estimator. Simulation results show that the new estimator performs well in finite samples at various quantile points. In the special case of median restriction, it outperforms the conventional QML estimator without taking into account of heteroscedasticity in the errors; it also outperforms the GMM estimators with or without considering the heteroscedasticity. 2007-07-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/1038 https://ink.library.smu.edu.sg/context/soe_research/article/2037/viewcontent/ivqr_sar20110505.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Spatial Autoregressive Model; Quantile Regression; Instrumental Variable; QuasiMaximum Likelihood; GMM; Robustness Econometrics |
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Spatial Autoregressive Model; Quantile Regression; Instrumental Variable; QuasiMaximum Likelihood; GMM; Robustness Econometrics YANG, Zhenlin Instrumental Variable Quantile Estimation of Spatial Autoregressive Models |
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We propose an instrumental variable quantile regression (IVQR) estimator for spatial autoregressive (SAR) models. Like the GMM estimators of Lin and Lee (2006) and Kelejian and Prucha (2006), the IVQR estimator is robust against heteroscedasticity. Unlike the GMM estimators, the IVQR estimator is also robust against outliers and requires weaker moment conditions. More importantly, it allows us to characterize the heterogeneous impact of variables on different points (quantiles) of a response distribution. We derive the limiting distribution of the new estimator. Simulation results show that the new estimator performs well in finite samples at various quantile points. In the special case of median restriction, it outperforms the conventional QML estimator without taking into account of heteroscedasticity in the errors; it also outperforms the GMM estimators with or without considering the heteroscedasticity. |
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text |
author |
YANG, Zhenlin |
author_facet |
YANG, Zhenlin |
author_sort |
YANG, Zhenlin |
title |
Instrumental Variable Quantile Estimation of Spatial Autoregressive Models |
title_short |
Instrumental Variable Quantile Estimation of Spatial Autoregressive Models |
title_full |
Instrumental Variable Quantile Estimation of Spatial Autoregressive Models |
title_fullStr |
Instrumental Variable Quantile Estimation of Spatial Autoregressive Models |
title_full_unstemmed |
Instrumental Variable Quantile Estimation of Spatial Autoregressive Models |
title_sort |
instrumental variable quantile estimation of spatial autoregressive models |
publisher |
Institutional Knowledge at Singapore Management University |
publishDate |
2007 |
url |
https://ink.library.smu.edu.sg/soe_research/1038 https://ink.library.smu.edu.sg/context/soe_research/article/2037/viewcontent/ivqr_sar20110505.pdf |
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